Visiting Address:

Postal Address:

PO Box 15867
1001 NJ Amsterdam

I am visiting Princeton University from January to August 2007, November to December 2007, April to May 2008, in April 2009, February 2010, November 2010, January 2011, August 2011, October 2011, January 2012, August 2012, October 2012, February 2013, May 2013, August 2013, August 2014, August 2015, April 2016 and April 2017:

Address:

Princeton University
Bendheim Center for Finance
Julis Romo Rabinowitz Building
Princeton NJ, 08544, United States

Expertise

Prof. dr. Roger J. A. Laeven (1979) has been Full Professor (Chair of Risk and Insurance) at the Department of Quantitative Economics, University of Amsterdam, since 2011. He is the Director and Co-Founder of the Amsterdam Center of Excellence in Risk and Macro Finance (ACRM). He serves as Editor of Insurance: Mathematics and Economics. He has been a part-time Professor in Quantitative Risk Management at KU Leuven since 2016. Roger holds an MSc (Fields: Actuarial Science and Econometrics, With highest honors) and a PhD (Fields: Actuarial Science and Econometrics, With highest honors), both from the University of Amsterdam. In 2004, he was a visiting research fellow at the London School of Economics, Department of Statistics, and from 2007-date he is a visiting research fellow at Princeton University, Bendheim Center for Finance. From 2001-2005, he was a part-time consultant for Mercer Oliver Wyman, and from 2007-2011, he was a tenured Associate Professor at Tilburg University.

Selection of Prizes and Awards

Roger's PhD thesis was awarded the Christiaan Huygens Prize 2007 by the Royal Netherlands Academy of Arts and Sciences (KNAW). In 2006, Roger was awarded a VENI grant by the Netherlands Organization for Scientific Research (NWO) for his research project Measurement of Multivariate Risk in Insurance and Finance, and in 2009 he was awarded a VIDI grant by NWO for his research project Econometrics of Contagion in Insurance and Finance. Recent research awards include a VvV Grant (Risk and Insurance, 2012-2016), the FBdF Grant 2013/14, the ASX Prize 2014 and a VvV Grant (Risk and Regulation, 2017-2021).

Research

Roger's research spans Probability and Mathematical Statistics, (Micro) Economic Theory, Actuarial Science and Quantitative Finance and has appeared in the top academic journals in all these fields. His areas of specialization include decision under uncertainty, (axiomatization and aggregation of) risk measures, modeling of stochastic dependence and semi-martingale theory; and their ramifications in insurance and finance, such as economic capital allocation, valuation in incomplete markets and multivariate asset pricing.

Academic Ties

Roger is Director of the Risk and Macro Finance Research Focal Area at the University of Amsterdam; holds a courtesy appointment in the Department of Finance of the University of Amsterdam; is Scientific Advisor to Eurandom (Co-Director of the Multivariate Risk Modeling group); Editor of Insurance: Mathematics and Economics (Elsevier) and Insurance Markets and Companies: Analyses and Actuarial Computations; Associate Editor of Statistics and Probability Letters (Elsevier) and Dependence Modeling (De Gruyter); Research Fellow of ACIS, Netspar, STAR, StochModFin and WONDER (previously the Stieltjes Institute); and Extramural Fellow of CentER (research groups Econometrics and Finance).

Corporate Ties

Other Activities

Roger's expertise on risk management, insurance and solvency has been called for e.g., by the ESRB, EIOPA, the European Parliament, the Dutch Central Bank, the 2014/15 Commissie Verzekeraars and the Dutch Association of Insurers, to which institutions he has served as academic advisor. Roger is a selected academic member of the European Insurance and Occupational Pensions Authority (EIOPA), Insurance and Reinsurance Stakeholder Group (IRSG). He advises on a regular basis the insurance and financial industry on issues in the broad area of quantitative risk management, such as economic capital allocation, (market-consistent) pricing and ALM.

Research Supervision

Postdoc
[1.] Mitja Stadje (2009-2010; PhD from Princeton University)
[After his postdoc he took up a position as TT Assistant Professor at Tilburg University; currently Full Professor at Ulm University.]
[2.] Andrea Krajina (2010; PhD from Tilburg University)
[After her postdoc she took up a position as Junior Professor at Göttingen University.]
[3.] Sami Umut Can (2010-2015; PhD from Cornell University)
[After his postdoc he took up a position as TT Assistant Professor at the University of Amsterdam.]

PhD
[1.] Xiye Yang (2012-2014; with Peter Boswijk)
[After his PhD he took up a position as TT Assistant Professor at Rutgers University.]
[2.] Servaas van Bilsen (2010-2015; with Theo Nijman)
[After his PhD he took up a position as TT Assistant Professor at the University of Amsterdam.]
[3.] Zhenzhen Fan (2011-2016)
[After her PhD she took up a position as TT Assistant Professor at Nankai University.]
[4.] Andrei Lalu (2013-2016; with Peter Boswijk)
[5.] Jitze Hooijsma (2013-2017; with Michel Vellekoop)
[6.] Yuan Yue (2014-2018)
[7.] Rob Sperna Weiland (2014-2018; with Frank de Jong and Peter Spreij)
[8.] Merrick Zhen Li (2015-2018; with Peter Boswijk and Michel Vellekoop)